Description Usage Arguments Value Note References

This function returns dynamic conditional correlations based on the parameters specified.

1 | ```
dcc.est(dvar, param)
``` |

`dvar` |
a matrix of the standardised residuals |

`param` |
a vector of the DCC parameters |

a list with components:

`DCC` |
a matrix of the dynamic conditional correlations |

`Q` |
a matrix of the |

a constant matrix *\mathbf{Q}* in the DCC equation is computed by *\mathbf{Q}=cov(dvar)*.

Engle, R.F. and K. Sheppard (2001),
“Theoretical and Empirical Properties of Dynamic
Conditional Correlation Multivariate GARCH.”
*Stern Finance Working Paper Series*
FIN-01-027 (Revised in Dec. 2001),
New York University Stern School of Business.

Engle, R.F. (2002),
“Dynamic Conditional Correlation: A Simple Class of
Multivariate Generalized Autoregressive Conditional
Heteroskedasticity Models.”
*Journal of Business and Economic Statistics*
**20**, 339–350.

hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.